If you are running Windows XP, try this:
1) Got to "Control Panel" and then "Folder Options".
2) Go to the "File Types" tab and look for "SGN" in the list.
3) Select "SGN" and click the "Change..." button.
4) Select the proper program from the list, mark the "Always use the selected program" box, and click the "OK" button.
5) Close the "Folder Options" window.
All "SGN" files should now be opened in the program you specified.
(If that does not work, you could try clicking the "Restore" button instead of "Change..." in step 3.)